Asymmetric information, risks and stock returns.
Chan, Winnie Mei Yi.
Chung, Yong Nian.
Poon, Wai Leong.
Date of Issue2006
College of Business (Nanyang Business School)
This research article seeks to investigate the relation between Probability of Informed Trading (PIN) and various factors in the context of the Singapore Market.The EKOP model by Easley and O’Hara (1992, 1996, 1997a, 1997b) is used to estimate the PIN of each stock in the Singapore Stock Exchange (SGX). We then determine how this PIN differs across sectors, each month and each day of the week. Subsequently, available information on the stocks is used to estimate their size using average market capitalization, growth opportunity using average market capitalization over book equity ratio and if these stocks are from Government-Linked Companies (GLC).
Final Year Project (FYP)
Nanyang Technological University